D.G. Barr
Expected returns, risk and the integration of international bond markets
Barr, D.G.; Priestley, R.
Authors
R. Priestley
Abstract
In this paper we model expected risks and returns on government bonds, allowing for partial integration of national and world bond markets. Using a conditional asset pricing model that permits variation in the price of, and exposure to, risk, we find strong evidence that national markets are only partially integrated into world markets. Around one quarter of total expected excess returns is related to local market risk; the remainder being due to world bond market risk. A range of parameter stability tests rejects the hypothesis of time-variation in the level of integration.
Citation
Barr, D., & Priestley, R. (2004). Expected returns, risk and the integration of international bond markets. Journal of International Money and Finance, 23(1), 71-97. https://doi.org/10.1016/j.jimonfin.2003.10.005
Journal Article Type | Article |
---|---|
Publication Date | Jan 1, 2004 |
Deposit Date | Mar 29, 2007 |
Journal | Journal of International Money and Finance |
Print ISSN | 0261-5606 |
Publisher | Elsevier |
Peer Reviewed | Peer Reviewed |
Volume | 23 |
Issue | 1 |
Pages | 71-97 |
DOI | https://doi.org/10.1016/j.jimonfin.2003.10.005 |
Keywords | Partial integration, Expected returns, Conditional asset pricing, Bond markets. |
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